Does knowing the volatility states affect the market risk premium?

DOI10.1007/S10436-010-0158-2zbMath1262.91152OpenAlexW2043244304MaRDI QIDQ691613

Jinho Bae

Publication date: 3 December 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-010-0158-2

zbMATH Keywords

risk premiumendogenous Markov-switchinginvestors' information setvolatility states

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• Estimation of Markov regime-switching regression models with endogenous switching
• A Markov model for switching regressions
• Specification testing in Markov-switching time-series models
• An Intertemporal Capital Asset Pricing Model

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